MSTR Options History — March 2008

In March 2008, MSTR traded between $6.55 and $7.55. ATM implied volatility averaged 44.3%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 10.3% (HV 20d: 34.1%). Max pain ranged from $7.00 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.38.

Notable Days

  • 2008-03-25: Highest Volume — 21,760 contracts
  • 2008-03-13: Largest IV spike — 12.8% change
  • 2008-03-24: Highest IV Rank — 40.5%
  • 2008-03-24: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.02$6.55$7.55$6.58$7.40
Max Pain$7.40$7.00$7.50$7.00$7.50
ATM IV44.3%39.1%48.9%44.3%45.0%
Expected Move13.0%11.8%14.0%12.7%12.9%
HV 20d34.1%31.3%37.2%37.2%34.2%
HV 60d40.1%38.4%41.4%40.3%39.0%
IV Rank32.7%23.8%40.5%32.7%33.8%
IV Percentile54.6%32.1%73.8%56.0%54.8%
Term Structure6.6%2.6%14.6%3.2%14.5%
VWIV45.3%41.5%48.8%43.1%45.2%
Skew 25d3.9%1.3%6.1%5.7%3.8%
Skew 10d7.4%1.6%11.5%11.5%5.8%
Call IV 25d43.6%39.9%47.0%41.6%43.4%
Put IV 25d47.5%42.0%51.6%47.4%47.2%
Bid-Ask Spread %13.748.3523.4611.1614.08
Gamma HHI0.390.270.760.330.31
Net GEX914.7K33.8K3.8M220.7K783.8K
Net DEX-320.6K-22.4M19.6M18.4M-11.2M
Net VEX-347.4K-366.4K-323.9K-327.1K-360.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.257.990.550.75
Total Volume11,6212,94021,76014,82010,750
Total OI391,477.5310,070428,980402,780343,580

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$6.58$7.0044.3%12.7%37.2%32.7%43.1%5.7%3.2%220.7K18.4M-327.1K0.5511.16N/AN/A9,5705,250251,910150,870
2008-03-04$6.67$7.0043.8%12.5%32.6%31.7%42.5%4.0%2.6%423.9K12.7M-334.1K1.6423.46N/AN/A3,8006,220253,120152,320
2008-03-05$6.75$7.0041.7%12.0%31.5%28.2%42.4%2.9%3.5%598.8K9.1M-335.5K0.9321.47N/AN/A9,5308,880253,710152,600
2008-03-06$6.55$7.0041.3%11.8%33.2%27.5%41.5%1.3%3.5%33.8K19.6M-323.9K0.4210.90N/AN/A9,0303,780254,050158,180
2008-03-07$6.59$7.5041.5%13.1%31.8%27.8%45.2%3.7%4.3%58.8K19.2M-330.2K0.2512.83N/AN/A2,360580259,900157,740
2008-03-10$6.63$7.5043.9%13.3%31.3%32.0%46.0%3.9%3.4%152.3K16.7M-325.2K0.8214.20N/AN/A2,3601,930260,640157,610
2008-03-11$6.84$7.5040.0%12.7%33.4%25.3%44.6%3.8%4.4%726.8K6.4M-345.5K1.1611.19N/AN/A3,9404,570260,180158,170
2008-03-12$6.83$7.5039.1%12.8%33.4%23.8%45.0%3.5%4.2%738.0K6.0M-347.7K0.9812.28N/AN/A6,4806,330260,310157,760
2008-03-13$6.99$7.5044.2%12.7%34.0%32.4%44.4%3.4%4.4%1.1M-3.7M-366.4K2.8614.73N/AN/A1,3603,890261,530161,170
2008-03-14$6.87$7.5045.5%13.0%34.3%34.6%45.9%3.3%5.1%909.7K3.4M-342.7K0.7017.35N/AN/A3,0802,150262,360160,780
2008-03-17$6.96$7.5046.8%13.4%33.7%36.9%48.7%4.0%3.6%1.2M-1.7M-345.8K2.3714.88N/AN/A2,1305,050262,710162,660
2008-03-18$7.26$7.5045.3%13.0%36.5%34.3%47.2%6.1%3.8%2.6M-18.8M-359.7K2.0711.06N/AN/A4,4909,280262,220162,580
2008-03-19$7.14$7.5046.7%13.4%34.7%36.7%45.5%3.5%3.7%1.6M-10.6M-348.5K0.3215.75N/AN/A7,4102,370263,430162,930
2008-03-20$7.40$7.5046.5%13.3%34.7%36.3%46.6%5.2%3.5%3.8M-22.4M-362.5K0.3910.40N/AN/A15,1405,860265,750163,230
2008-03-24$7.55$7.5048.9%14.0%34.8%40.5%48.8%4.5%9.5%637.7K-16.6M-362.1K0.6614.78N/AN/A11,0407,270195,970114,100
2008-03-25$7.47$7.5045.7%13.1%34.6%35.1%46.6%5.5%13.1%759.4K-13.6M-359.5K1.1112.61N/AN/A10,33011,430204,280118,500
2008-03-26$7.43$7.5045.2%13.0%33.9%34.2%46.9%4.0%13.5%756.2K-12.0M-364.2K7.9912.39N/AN/A7105,670208,250122,710
2008-03-27$7.17$7.5046.3%13.3%36.6%36.1%45.6%4.1%14.3%513.1K543.4K-346.8K0.828.35N/AN/A7,3205,980208,280126,560
2008-03-28$7.36$7.5045.1%12.9%35.3%34.1%45.4%1.8%14.6%620.6K-7.8M-361.0K0.8711.01N/AN/A8,0907,010209,550127,350
2008-03-31$7.40$7.5045.0%12.9%34.2%33.8%45.2%3.8%14.5%783.8K-11.2M-360.0K0.7514.08N/AN/A6,1404,610215,480128,100